Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?

TL;DR

This paper introduces a model-free approach to financial time series analysis, leveraging a theorem from 1995 to analyze trends and volatility without probabilistic assumptions, enabling portfolio management and strategy development.

Contribution

It presents a novel, model-free methodology based on Cartier and Perrin's theorem for analyzing financial data and managing portfolios without probabilistic models.

Findings

Effective trend and volatility analysis without probabilistic models

Successful application in dynamic portfolio and strategy management

Numerous computer simulations demonstrating practical viability

Abstract

A new standpoint on financial time series, without the use of any mathematical model and of probabilistic tools, yields not only a rigorous approach of trends and volatility, but also efficient calculations which were already successfully applied in automatic control and in signal processing. It is based on a theorem due to P. Cartier and Y. Perrin, which was published in 1995. The above results are employed for sketching a dynamical portfolio and strategy management, without any global optimization technique. Numerous computer simulations are presented.